Normalise multivariate probability density
2 ビュー (過去 30 日間)
Hi, I have some multivariate data of dimension 4. I have used mvnpdf to compute their densities.
However, I would like to normalise the densities by using a partition function. I wish to calculate:
where pi_l is some constant and N(v;mean;covariance) is the mvnpdf and v is a data point.
How would i go about this?
回答 (1 件)
Dave Behera 2015 年 12 月 2 日
To compute the integral above, you can use the Multivariate normal cumulative distribution function 'mvncdf' described here:
Also, you may need to multiply the constant pi_l (present within the integral above) to the output of 'mvncdf' function to get the correct result.